Authors

• Luis A. Gil-Alana (alana@unav.es)
  Facultad de Ciencias Económicas y Empresariales, Universidad de Navarra
• Antonio Moreno (antmoreno@unav.es)
  Facultad de Ciencias Económicas y Empresariales, Universidad de Navarra

Abstract
This paper identifies structural breaks in the post-World War II joint dynamics of U.S. inflation, unemployment and the short-term interest rate. We derive a structural break-date procedure which allows for long-memory behavior in all three series and perform the analysis for alternative data frequencies. Both long-memory and short-run coefficients are relevant for characterizing the changing patterns of U.S. macroeconomic dynamics. We provide an economic interpretation of those changes by examining the link between macroeconomic events and structural breaks.

Classification JEL:C32, C51, E31, E32, E52

Keywords:Fractional integration, structural breaks, multivariate analysis, inflation dynamics

Number of Pages:53

Creation Date:2009-01-20

Number:null/09